On solving the dual for portfolio selection by optimizing Conditional Value at Risk

Włodzimierz Ogryczak , Tomasz Śliwiński

Abstract

n/a
Author Włodzimierz Ogryczak (FEIT / AK)
Włodzimierz Ogryczak,,
- The Institute of Control and Computation Engineering
, Tomasz Śliwiński (FEIT / AK)
Tomasz Śliwiński,,
- The Institute of Control and Computation Engineering
Journal seriesComputational Optimization and Applications, (A 35 pkt)
Issue year2011
Vol(2011) 50
Pages591-595
ASJC Classification2604 Applied Mathematics; 2605 Computational Mathematics; 2606 Control and Optimization
DOIDOI:10.1007/s10589-010-9321-y
Languageen angielski
Score (nominal)35
Score sourcejournalList
Publication indicators WoS Citations = 12; Scopus Citations = 17; GS Citations = 34.0; Scopus SNIP (Source Normalised Impact per Paper): 2011 = 1.946; WoS Impact Factor: 2011 = 1.35 (2) - 2011=1.432 (5)
Citation count*34 (2020-01-04)
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* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
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